Sharp estimates in terms of moduli of smoothness for compound cubature rules

Summary In 1980 Dahmen-DeVore-Scherer introduced a modulus of continuity which turns out to reflect invariance properties of compound cubature rules effectively. Accordingly, sharp error bounds are derived, the existence of relevant counterexamples being a consequence of a quantitative resonance principle, established previously.     

On images of locally finite derivations and E-derivations

Some cases of the LFED Conjecture, proposed by the second author [15], for certain integral domains are proved. In particular, the LFED Conjecture is completely established for the field of fractions $k(x)$ of the polynomial algebra $k[x]$, the formal power series algebra $k[[x]]$ and the Laurent formal power series algebra $k[[x]][x^{?1}]$, where $x=(x_1,x_2,\dots ,x_n)$ denotes n commutative free variables and k a field of characteristic zero. Furthermore, the relation between the LFED Conjecture and the Duistermaat–van der Kallen Theorem [3] is also discussed and emphasized.     

Data-Adaptive Estimation of Time-Varying Spectral Densities

This article introduces a data-adaptive nonparametric approach for the estimation of time-varying spectral densities from nonstationary time series. Time-varying spectral densities are commonly estimated by local kernel smoothing. The performance of these nonparametric estimators, however, depends crucially on the smoothing bandwidths that need to be specified in both time and frequency direction. As an alternative and extension to traditional bandwidth selection methods, we propose an iterative algorithm for constructing localized smoothing kernels data-adaptively. The main idea, inspired by the concept of propagation-separation, is to determine for a point in the time-frequency plane the largest local vicinity over which smoothing is justified by the data. By shaping the smoothing kernels nonparametrically, our method not only avoids the problem of bandwidth selection in the strict sense but also becomes more flexible. It not only adapts to changing curvature in smoothly varying spectra but also adjusts for structural breaks in the time-varying spectrum. Supplementary materials, including the R package tvspecAdapt containing an implementation of the routine, are available online.     

Suitability and managerial implications of a Master Surgical Scheduling approach

Operating room (OR) planning and scheduling is a popular and challenging subject within the operational research applied to health services research (ORAHS). However, the impact in practice is very limited. The organization and culture of a hospital and the inherent characteristics of its processes impose specific implementation issues that affect the success of planning approaches. Current tactical OR planning approaches often fail to account for these issues. Master surgical scheduling (MSS) is a promising approach for hospitals to optimize resource utilization and patient flows. We discuss the pros and cons of MSS and compare MSS with centralized and decentralized planning approaches. Finally, we address various implementation issues of MSS and discuss its suitability for hospitals with different organizational foci and culture.     

Lines on Fermat surfaces

We prove that the Néron-Severi groups of several complex Fermat surfaces are generated by lines. Specifically, we obtain these new results for all degrees up to 100 that are relatively prime to 6. The proof uses reduction modulo a supersingular prime. The techniques are developed in detail. They can be applied to other surfaces and varieties as well.     

Monotonicity for excited random walk in high dimensions

We prove that the drift θ(d, β) for excited random walk in dimension d is monotone in the excitement parameter ${\beta \in [0,1]}$ , when d is sufficiently large. We give an explicit criterion for monotonicity involving random walk Green’s functions, and use rigorous numerical upper bounds provided by Hara (Private communication, 2007) to verify the criterion for d ≥ 9.     

A homeomorphism between strong measure zero sets whose graph is not of strong measure zero

Assuming Martin's axiom MA, we define a homeomorphism between two strong measure zero sets in the real line whose graph in not of strong measure zero in the plane. Using Michael's concentrated sets, we give also some refinements of this result, and we describe some singular subgroups of the group ZN.     

Valuation of guaranteed annuity options using a stochastic volatility model for equity prices

Guaranteed annuity options are options providing the right to convert a policyholder’s accumulated funds to a life annuity at a fixed rate when the policy matures. These options were a common feature in UK retirement savings contracts issued in the 1970’s and 1980’s when interest rates were high, but caused problems for insurers as the interest rates began to fall in the 1990’s. Currently, these options are frequently sold in the US and Japan as part of variable annuity products. The last decade the literature on pricing and risk management of these options evolved. Until now, for pricing these options generally a geometric Brownian motion for equity prices is assumed. However, given the long maturities of the insurance contracts a stochastic volatility model for equity prices would be more suitable. In this paper explicit expressions are derived for prices of guaranteed annuity options assuming stochastic volatility for equity prices and either a 1-factor or 2-factor Gaussian interest rate model. The results indicate that the impact of ignoring stochastic volatility can be significant.